sstModel (version 1.0.0)

liability: Constructing an Insurance Liability

Description

Constructor for the S3 class liability. It allows to build for an insurance liability referred under the name "Versicherungsverpflichtungen" in the FINMA technical document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

Usage

liability(time, currency, value)

Arguments

time

stricly positive integer value of length one representing the time-to-maturity. This parameter relates to the "Restlaufzeit" liability variable tau in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

currency

character value of length one representing the currency in which the fixed-income-asset is labeled. This parameter relates to the "Fremdw<U+00E4>hrungsrisikofaktor" index j in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

value

non-zero numeric value of length one representing the "Certainty-Equivalent-Versicherungsverpflichtung-Cashflows" as referred in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung". at time time. This must be expressed in the same currency as currency. If value is negative, then the liability is interpreted as a positive cashflow.

Value

an S3 object, instance of the class liability.

See Also

summary.liability, print.liability.

Examples

# NOT RUN {
# Creating new liabilities.
liability1 <- liability(1, "USD", 1000)
liability2 <- liability(2, "EUR", 2000)

# }